Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Nov 06 (1D) | Nov 07 (2D) | Nov 10 (5D) | Nov 11 (6D) | Nov 12 (7D) | Nov 13 (8D) | Nov 14 (9D) | Nov 17 (12D) | Nov 18 (13D) | Nov 19 (14D) | Nov 21 (16D) | Nov 28 (23D) | Dec 05 (30D) | Dec 12 (37D) | Dec 19 (44D) | Dec 26 (51D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 671.193 | 668.547 | 663.297 | 661.934 | 660.68 | 659.514 | 658.418 | 655.453 | 654.55 | 653.68 | 652.03 | 646.947 | 642.594 | 638.727 | 635.21 | 631.964 |
| upper | 683.967 | 686.613 | 691.863 | 693.226 | 694.48 | 695.646 | 696.742 | 699.707 | 700.61 | 701.48 | 703.13 | 708.213 | 712.566 | 716.433 | 719.95 | 723.196 |
| expected move | 6.387 | 9.033 | 14.283 | 15.646 | 16.90 | 18.066 | 19.162 | 22.127 | 23.03 | 23.90 | 25.55 | 30.633 | 34.986 | 38.853 | 42.37 | 45.616 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
